Algorithm Performance: 11/15/2022
Daily Performance
Sector Neutral: +0.1%
Market Neutral: -0.16%
Variable Sector Neutral: -0.34%
Variable Market Neutral: -0.39%
Long Term Portfolio: -0.62%
The Market: -0.66%
Base Algorithm: -0.68%
Only SN beat its baseline today, but I’m not particularly concerned about today’s performance. Firstly, none our systems underperformed their baseline substantially. Base was fairly close to the LTP, and the MN baseline was only 0.05% above MN’s performance.
The second reason is that a lot of movement today had little to do with technicals. Let’s play a little game to illustrate this. Using the intraday chart below, can you guess what time Russia bombed Poland?
As mentioned before, technical algorithms tend to perform less predictably when fundamentals heavily drive movement in a day. All things considered, I’m happy to call today about even for us.
Tomorrow’s Outlook
The full algorithm reports will be published tomorrow morning, once Allen has had a chance to vet its recommendations. In the meantime, here are our tentative exposures for the trading day tomorrow:
That’s all for tonight. Thank you for reading, and congrats to everyone who made money today. Let’s all hope for different news tomorrow.
-Asher
